Hodrick-Prescott filter - page 5
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
Anything is possible (anything is possible), the problem is that we don't know everything.
Which is better, a trivial method with a non-trivial approach, or a trivial approach with non-trivial thinking? I don't know... which criteria for betterness to use is a separate topic. You can kill your whole life wandering in the dark in search of something special, or you can use something that has long been known to all... It's a matter of taste.
I adhere to the point of view that there are optimal methods for solving a problem, and they are of course achievable within the scientific paradigm, without deviations such as "it seems to me" or "everyone does it".
Flags in my hands! By the way, "everybody does it" and creates price movement, allows you to use continuation patterns, levels, fractals and so on.
If you look down at the problem of trading, we are ultimately interested in price increments, not its absolute values; it is on price changes that money is made.
Therefore, in this case we are talking about the series of the first price difference of a quote, and not the original price series. For the first difference series (for example, Open[i]-Open[i+1]), the correlation coefficient between neighboring samples is small (<<1) and always negative. In order to apply differential calculus to arbitrary BP (for example, Taylor series expansion and building a forecasting model on its basis - that's what we all try to get from a moving average), the series of its first difference must be positively autocorrelated (it provides smoothness of the initial series), unfortunately price series do not satisfy this condition. Exactly this fact I meant, when I said that muwings are unpromising in our case - they show history. By the way, 20 years ago, price series, though weak, but were positively correlated (their first difference), it allows earning using simple models of classical TA. Now the situation is different, and non-trivial approaches to the problem of effective trading are needed.
That's between adjacent readings.
Why do we need adjacent readings?
Why do we need to differentiate directly between naked and untrammeled BP?
Besides we have a window not of two adjacent counts, but more - from 4 to 200, i.e. e.g.
- periods of technical indicators.
- Length of the analysis window for entry/exit
-length=length of the calendar period, during which the fundamental analysis is relevant.
Therefore, our autocorrelation is positive and greater than 0.5. with solid probability 0.95.
For example, there is an alternative to the Taylor series expansion that works for BP with negative autocorrelation in its first-difference series. It can be obtained explicitly as a consequence of solving the problem for a single-layer Neural Network with multiple inputs. For instance, here is the first term of such a decomposition obtained as a solution for a two-input NS:
where d[i+1] is the prediction of i+1 increments of price series.
I do not know, how anyone thinks, but according to my understanding, to predict the price series or increment of price series was given up about 10 years ago - because of uselessness and low profitability of this action...... ))))
That's odd.
You talk about autocorrelation. But I don't understand much of it. Maybe it's different from the known 'Autocorrelation function'.
Where do you get that 0.9-0.6 or negative 'always' from ? Cross your heart, I think it will help.
The ACF of a price series and its first difference has a very nice form which shows that the series is predictable (not a delta function).
I don't know how anyone here thinks or thinks, but in my mind and concept, predicting price series or price range increments was abandoned 10 years ago - due to the futility and low profitability of the activity...... ))))
what are you predicting the movement of planets ? or maybe something else ?
Only a correctly built and adequate forecast can allow to build a profitable TS. The rest is just a crook.
what are you predicting the movement of the planets ? or maybe something else ?
Direction ......))))) This is much more efficient......
Thank goodness it's not the movement of planets ).
Explain how a simple directional forecast is better than a price series forecast.
1. Directional forecast
- 1 min up, third down, third up, etc.
2. Price series forecast. Tomorrow at 12:00 a.m. the exchange rate will be so +- 10 pips.
????
I choose the second forecast if it is correct. I do not need the first one even if it is 100% accurate.
I would like you to change my mind.
Basically, I don't have such a task to change your mind. But I will try to show you, that it is easier to forecast movement up or down - it is only 2 values, which differ very strongly from one another, than, for example, 1.4521 or 1.4522 - it is only 0.007% of the value - even super-mega-quasi-magical psychics cannot predict such value. We can calculate that 100 pips is only about 0.7% (for the EuroDollar) - which is also really hard to predict. Therefore it is up to you to decide. But if we proceed from neural network programs that are made by smart people, who have been working for years or even several dozen years making price series forecasts, and not 2-3 years like you and me, they do not make price series forecasts for a long time - that is saying a lot......
1. Directional forecast
- 1 min up, 3 min down, 3 min up, etc.
It depends on TF - and it is not necessary to predict every minute in which direction the price will go now, especially in different directions - it is enough to have a more global forecast (and it will be smoother) than the TF itself, even if it is minute - even looking at the minute chart you can see trends that last more than a minute..... ))))